I bought Civ 5 (Steamworks) via another retailer and activated it to my Steam account. Can I purchase DLC from any retailer and activate it to my Steam copy of Civ 5? I am clueless about DLC, and I guess I am wondering how it works. And what DLC is recommended from vanilla Civ 5?

Since Civ V is a Steamworks game, that actually means you are required to activate it on Steam in order to download and play it. If you buy DLC from anywhere that isn't the Steam store, it will be another cdkey that you activate on Steam to redeem and apply to your game.

Yep! If you notice on the store pages for the DLC (I'm referring to online stores, but should be the same if you find a physical retail location), it will say "Requires a free Steam account to play" or "DRM: Steamworks (requires a 3rd party download and account" or similar. I've not done that for Civ V, but for instance I bought the season pass DLC for Saints Row: The Third on GamersGate and it activated on Steam to work with the base game that I bought from Green Man Gaming. That's a really nice thing about Steamworks, you can shop around for the best deals and still use Steam.

dont quote me but i read somewhere today someone saying ( thread still around ) that you could buy CIV V (DLC )for the mac ( most of them on sale £0.75 or something, from a different site ) and activate them on steam and would work on the pc but again i cant confirm cos i havent tried just saying what i read :P

edit
yes from my understanding no matter where u buy the DLC from they all need to be activated on steam.

I found a sale on Civ 5 vanilla and have already activated it. Nice. Now I want DLC. Some sales are cheaper than steam. From what I understand now, I DLC bought from anywhere will activate on Steam now, no? Thanks!